OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
研究风险厌恶投资者如何最优清算或行权一个由永续美式期权组成的投资组合，发现最优策略为阈值形式，并可通过变分法显式求解。
We consider the problem facing a risk averse agent who seeks to liquidate or exercise a portfolio of (infinitely divisible) perpetual American style options on a single underlying asset. The optimal liquidation strategy is of threshold form and can be characterized explicitly as the solution of a calculus of variations problem. Apart from a possible initial exercise of a tranche of options, the optimal behavior involves liquidating the portfolio in infinitesimal amounts, but at times which are singular with respect to calendar time. We consider a number of illustrative examples involving CRRA and CARA utility, stocks, and portfolios of options with different strikes, and a model where the act of exercising has an impact on the underlying asset price.